[ERM] Extended Regression - Stata

1 Stata Extended REGRESSIONMODELS REFERENCE MANUALRELEASE 17 A Stata Press PublicationStataCorp LLCC ollege Station, Texas Copyrightc 1985 2021 StataCorp LLCAll rights reservedVersion 17 Published by Stata Press, 4905 Lakeway Drive, College Station, Texas 77845 Typeset in TEXISBN-10: 1-59718-328-8 ISBN-13: 978-1-59718-328-4 This manual is protected by copyright. All rights are reserved. No part of this manual may be reproduced, storedin a retrieval system, or transcribed, in any form or by any means electronic, mechanical, photocopy, recording, orotherwise without the prior written permission of StataCorp LLC unless permitted subject to the terms and conditionsof a license granted to you by StataCorp LLC to use the software and documentation.

2 No license, express or implied,by estoppel or otherwise, to any intellectual property rights is granted by this provides this manual as is without warranty of any kind, either expressed or implied, including, butnot limited to, the implied warranties of merchantability and fitness for a particular purpose. StataCorp may makeimprovements and/or changes in the product(s) and the program(s) described in this manual at any time and software described in this manual is furnished under a license agreement or nondisclosure agreement. The softwaremay be copied only in accordance with the terms of the agreement. It is against the law to copy the software ontoDVD, CD, disk, diskette, tape, or any other medium for any purpose other than backup or archival automobile dataset appearing on the accompanying media is Copyrightc 1979 by Consumers Union of ,Inc.

3 , Yonkers, NY 10703-1057 and is reproduced by permission from CONSUMER REPORTS, April ,, Stata Press, Mata,, and NetCourse are registered trademarks of StataCorp and Stata Press are registered trademarks with the World Intellectual Property Organization of the United is a trademark of StataCorp brand and product names are registered trademarks or trademarks of their respective copyright information about the software, typehelp copyrightwithin suggested citation for this software isStataCorp. : Release 17. Statistical Software. College Station, TX: StataCorp .. Introduction1 Intro 1 .. An introduction to the ERM commands5 Intro 2 .. The models that ERMs fit11 Intro 3.

4 Endogenous covariates features14 Intro 4 .. Endogenous sample-selection features20 Intro 5 .. Treatment assignment features25 Intro 6 .. Panel data and grouped data model features33 Intro 7 .. model interpretation36 Intro 8 .. A Rosetta stone for Extended Regression commands49 Intro 9 .. Conceptual introduction via worked example52eintreg .. Extended interval regression68eintreg postestimation .. Postestimation tools for eintreg and xteintreg93eintreg predict .. predict after eintreg and xteintreg96eoprobit .. Extended ordered probit Regression 100eoprobit postestimation .. Postestimation tools for eoprobit and xteoprobit 122eoprobit predict .. predict after eoprobit and xteoprobit 127eprobit.

5 Extended probit Regression 132eprobit postestimation .. Postestimation tools for eprobit and xteprobit 164eprobit predict .. predict after eprobit and xteprobit 170eregress .. Extended linear Regression 174eregress postestimation .. Postestimation tools for eregress and xteregress 195eregress predict .. predict after eregress and xteregress 200 ERM options .. Extended Regression model options 206estat teffects .. Average treatment effects for Extended Regression models 213 Example 1a .. Linear Regression with continuous endogenous covariate 216 Example 1b .. Interval Regression with continuous endogenous covariate 221 Example 1c .. Interval Regression with endogenous covariate and sample selection 223 Example 2a.

6 Linear Regression with binary endogenous covariate 226 Example 2b .. Linear Regression with exogenous treatment 229 Example 2c .. Linear Regression with endogenous treatment 232 Example 3a .. Probit Regression with continuous endogenous covariate 238 Example 3b .. Probit Regression with endogenous covariate and treatment 244 Example 4a .. Probit Regression with endogenous sample selection 249 Example 4b .. Probit Regression with endogenous treatment and sample selection 252 Example 5 .. Probit Regression with endogenous ordinal treatment 255 Example 6a .. Ordered probit Regression with endogenous treatment 261 Example 6b .. Ordered probit Regression with endogenous treatment and sample selection 264 Example 7.

7 random -effects Regression with continuous endogenous covariate 268 Example 8a .. random effects in one equation and endogenous covariate 272iii ContentsExample 8b .. random effects, endogenous covariate, and endogenous sample selection 275 Example 9 .. Ordered probit Regression with endogenous treatment and random effects 278predict advanced .. predict s advanced features 282predict treatment .. predict for treatment statistics 286 Triangularize .. How to triangularize a system of equations 291 Glossary ..297 Subject and author index ..304 Cross-referencing the documentationWhen reading this manual, you will find references to other Stata manuals, for example,[U] 27 Overview of Stata estimation commands; [R]regress; and [D]reshape.

8 The first ex-ample is a reference to chapter 27,Overview of Stata estimation commands, in theUser s Guide;the second is a reference to theregressentry in theBase Reference Manual; and the third is areference to thereshapeentry in theData Management Reference the manuals in the Stata Documentation have a shorthand notation:[GSM]Getting Started with Stata for Mac[GSU]Getting Started with Stata for Unix[GSW]Getting Started with Stata for Windows[U] Stata User s Guide[R] Stata Base Reference Manual[BAYES] Stata Bayesian Analysis Reference Manual[CM] Stata Choice Models Reference Manual[D] Stata Data Management Reference Manual[DSGE] Stata Dynamic Stochastic General Equilibrium Models Reference Manual[ERM] Stata Extended Regression Models Reference Manual[FMM] Stata Finite Mixture Models Reference Manual[FN] Stata Functions Reference Manual[G] Stata Graphics Reference Manual[IRT] Stata Item Response Theory Reference Manual[LASSO] Stata Lasso Reference Manual[XT]

9 Stata Longitudinal-Data/Panel-Data Reference Manual[META] Stata Meta-Analysis Reference Manual[ME] Stata Multilevel Mixed-Effects Reference Manual[MI] Stata Multiple-Imputation Reference Manual[MV] Stata Multivariate Statistics Reference Manual[PSS] Stata Power, Precision, and Sample-Size Reference Manual[P] Stata Programming Reference Manual[RPT] Stata Reporting Reference Manual[SP] Stata Spatial Autoregressive Models Reference Manual[SEM] Stata Structural Equation Modeling Reference Manual[SVY] Stata Survey Data Reference Manual[ST] Stata Survival Analysis Reference Manual[TABLES] Stata Customizable Tables and Collected Results Reference Manual[TS] Stata Time-Series Reference Manual[TE] Stata Treatment-Effects Reference Manual:Potential Outcomes/Counterfactual Outcomes[ I ] Stata Index[M]Mata Reference ManualiiiTitleIntro IntroductionDescriptionRemarks and examplesDescriptionERMstands for Extended Regression model .

10 TheERMs are linear Regression , interval Regression ,probit, and ordered probit. This manual introduces, explains, and and examplesThe entries in this manual are organized as follows:IntroductionsExamplesERM commandsPostestimationTechnical detailsGlossaryIntroductionsRead the introductions recommend reading [ERM]Intro 1 [ERM]Intro 7in order. In them, you will find introductionsto the models that can be fit with theERMcommands, the syntax, the complications endogenouscovariates, sample selection, treatment assignment, and observations that are correlated within panelsor groups thatERMcommands address, and the interpretation of results.[ERM]Intro 1An introduction to the ERM commands [ERM] Intro 2 The models that ERMs fit [ERM] Intro 3 Endogenous covariates features [ERM] Intro 4 Endogenous sample-selection features [ERM] Intro 5 Treatment assignment features [ERM] Intro 6 Panel data and grouped data model features [ERM] Intro 7 model interpretationThe next introduction is a Rosetta stone for anyone who has used other Stata commands toaccount for endogenous covariates, sample selection, nonrandom treatment assignment, or panel provides a simple mapping of syntax from commands such asivregress,heckman,xtreg,ivprobit,hecko probit,xttobitandetregressto the correspondingERMcommand.